This engineering toolbox table shows thermal conductivity of steam at 0.016. I understand that water is better in conducting heat than air, but if I read this correctly, steam is worse in conducting heat than water? Would there be any difference of steam in a vacuum? Or would it be also 0.016?
From a heat transfer perspective, steam is a lot more like air that it is like liquid water. The chemical makeup doesn't matter as much as the state.
As a gas, steam is a bunch of $H_2O$ molecules flying around at random, bashing into each other occasionally. The mechanism of conduction in that case is that the hot molecules will gradually bounce past the cold (and vice-versa), moving heat across a temperature gradient. The same is true for air, so their conductive properties are similar.
As a liquid, those molecules are much more tightly packed and are in contact (sort of) with each other all the time. When you heat up molecules in one place they can transfer that heat directly to their neighbors. At the molecular scale heat is just a lot of wiggling, spinning and vibrating motion (electrons get involved too if it's hot enough). Being in contact makes it easy for vibration in one molecule to make its way to others.
The pressure dependence in steam (an other gases) shows up at two extremes. At high pressure, the molecules will get closer together as they fly around and start to act a bit more like a liquid. At very low pressures, they'll collide so rarely that some of the molecules will go clear across the space in question without hitting any of the others. That the low pressure effect depends on both pressure and the size of the system